I considered on initial public offerings in my thesis. The thesis describes signification of initial public offerings including its advantages and disadvantages, informs about its specifications and recommends to investors, what they should focus on, if they think of such type of investment.

The first essay, "Market Integration and Side by Side Trading of Derivative and Cash Instruments" inquires into the microstructure of integrated trading of derivative and cash instruments and proposes a spatial differentiation model as a framework for analysis. The model illustrates that when broker-dealers can execute cash and derivative transactions proximately they can increase their returns by serving a larger proportion of investors who hold diverse portfolios thereby helping investors to economize on transactions costs. The model predicts that transactions involving a cash and derivative will be effected through an integrated system. The second essay, "Stock Index Futures Trading and Stock Market Volatility," reviews theoretical models and empirical evidence on the relationships between the level of futures trading and volatility. An empirical investigation is conducted by examining the relationship between the daily trading value of the S&P 500 stock index futures contract and the traded value of New York Stock Exchange stocks and considers whether there is higher price volatility in the stock markets when the level of trading in the futures markets is high relative to trading in the cash market. No evidence, theoretical or empirical, is found to support the notion that futures trading leads to greater volatility in the underlying cash market. The third essay, "Liquidation and Delivery Under Conditions of Manipulation models how strategic traders would respond to manipulation given an option to liquidate or deliver on the contract. A perfect Bayesian equilibrium concept is used in which traders must decide whether to liquidate or deliver given the realization of the first period equilibrium futures price. If detected by floor brokers who competitively bid prices to their expected value, the manipulator will cause prices to move against him, raising the equilibrium price when he puts in orders to buy and lowering the price when he seeks to selL Revelation of manipulation through prices also alters the behavior of other traders. An analysis of reactions in a simplified extensive form game indicates that detection of manipulation allows other market participants to stategically adjust their plans regarding liquidation and avoid incurring losses to the manipulator. / Ph. D.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators was examined within the context of the controversial normal backwardation theory of Keynes. The economists' expectations were regarded as the expected future spot price and the relationship between them and the corresponding futures contracts was analysed. The respective economic indicators were: i) the yield from aparastatal Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's Acceptance (BA) Deposit Rate and iv) the Rand/Dollar (R/$) Exchange Rate for the past seven years, i.e. 1995 to 2001. The accuracy of the economists' predictions was tested both on a visual basis and the relationship between the expected values and the futures prices was plotted in a graphical format. A nonparametric statistical procedure was used to determine whether the economists' expectations were of any value. To put it differently, the question being posed is: do these economists, as a group, possess some superior forecasting skills? Two different conclusions were reached from the analysis: First conclusion: by accepting the normal backwardation theory, it implies that the contango theory also holds. Therefore, when analysing the data set visually - depending on which theory it supports - the futures price must trade consistently below or above the expected future spot price. For this particular analysis the yield of the bond, and not its price, was the important factor. In most cases the plotted relationships between the expected values and the futures prices were found to support the contango theory and, to a lesser extent, the normal backwardation theory. Hence, speculators were, in order to make profits, predominately sellers of futures contracts. Second conclusion: the strongest conclusion, however, follows from the statistical tests conducted on the expected values. It was found that economists do possess some superior forecasting skills and if they had used their predictions and had taken the corresponding market positions, they would have been consistent winners in the futures market. Their reward would be mainly for their ability to forecast eventual spot prices and, to a lesser extent, for their risk bearing. It was impossible to link the two conclusions to confirm the normal backwardation theory, for the particular South African data set. The evidence is thus consistent with the hypothesis that the futures price is an unbiased estimate of the expected future spot price. / AFRIKAANSE OPSOMMING: 'n Unieke datastel, bestaande uit ekonome se vooruitsigte van kern ekonomiese aanwysers, is ondersoek binne die konteks van die omstrede normale terugwaardasie-teorie (d.i. "normal backwardation theory") van Keynes. Die ekonome se vooruitsigte is aanvaar as die verwagte toekomstige kontantprys en die verhouding hiertussen en die ooreenstemmende termynpryse is ontleed. Die onderskeie ekonomiese aanwysers was: i) die opbrengs op 'n Semi-Staatseffek, ii) die opbrengs op Staatseffekte, iii) die koers van die negentig-dae-Bankaksepte (BA) Depositokoers en iv) die Rand/Dollar (R/$) Wisselkoers oor die afgelope sewe jaar, d.w.s. 1995 tot 2001. Die akkuraatheid van die ekonome se vooruitskattings is op 'n visuele basis vergelyk, en die verhouding tussen die verwagte prys en die termynpryse is in grafiese formaat gekarteer. 'n Nie-parametriese statistiese prosedure is gebruik om vas te stel of hierdie ekonome se vooruitsigte van enige waarde was. Anders gestel, die vraag is: beskik hierdie ekonome as 'n groep oor sekere superieure vooruitskattingsvaardighede? Die volgende twee afsonderlike gevolgtrekkings is geformuleer: Eerste gevolgtrekking: deur die normale terugwaardasie-teorie te aanvaar, impliseer dit dat die contango-teorie (d.i, "contango theory") ook geldig is. Dus, wanneer die datastel visueel getoets word - afhangende van watter teorie dit ondersteun - moet die termynprys konsekwent bo of onder die verwagte toekomstige kontantprys verhandel. Vir hierdie bepaalde analise was die opbrengs van die staatseffek die belangrike faktor en nié die prys daarvan nie. In die meeste gevalle het die gekarteerde verhouding tussen die verwagte prys en die termynprys getoon dat dit die contango-teorie ondersteun het en, in 'n mindere mate, die normale terugwaardasie-teorie. Derhalwe was spekulante, ten einde wins te maak, oorwegend die verkopers van termynkontrakte. Tweede gevolgtrekking: die belangrikste gevolgtrekking volg egter uit die statistiese toetse wat uitgevoer is op die verwagte pryse. Daar is bevind dat ekonome wel oor superieure vooruitskattingsvaardighede beskik en dat, indien hulle hul vooruitskattings gebruik en die ooreenstemmende markposisies ingeneem het, hulle konsekwent wenners in die termynmark sou gewees het. Hulle vergoedings sou hoofsaaklik gewees het vir hulle vermoë om uiteindelike kontantpryse te voorspel en, in 'n mindere mate, vir hulle risiko-blootstelling. Dit was onmoontlik om hierdie twee vergelykings met mekaar te verbind om sodoende die normale terugwaardasie-teorie te onderskryf vir die betrokke Suid-Afrikaanse datastel. Die bewyslewering is dus konsekwent met die hipotese dat die termynprys 'n onsydige skatting van die verwagte toekomstige kontantprys is.

In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means. The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.

系統性信用風險即倒帳風險，是各個企業和銀行都會面臨的問題，當景氣蕭條時，企業或個人可能無法按時支付本金與利息，此時信用風險的程度提高；相對而言，景氣佳時，不論個人或企業的償債能力均提高，信用風險明顯下降，因此這裡所謂的系統性信用風險其實就是景氣循環風險。 本文提出一個相當直覺的觀念來規避系統性的信用風險，既然景氣循環影響了系統性信用風險的高低，我們現在的目的就是要規避景氣循環風險，而股價指數的變化其實就是景氣循環的領先指標，因此我們可以由股價指數或種種總體經濟指標來預測未來的景氣狀態，接著就可以利用買進或賣出股價指數期貨的方式來規避景氣循環風險。 本文以八個國家作實證研究，包括了台灣、美國、英國、法國、日本、瑞士、墨西哥、澳洲等已開發國家及開發中國家，並選取實質GDP成長率以及工業生產指數作為景氣循還的指標，進行OLS簡單迴歸、移動迴歸、二次迴歸、以及Downturn下的OLS簡單迴歸。 實證結果發現：台灣、日本、澳洲與墨西哥的股價指數期貨報酬率與實質GDP成長率呈正向關係，且具預測能力，其t-value均為顯著，故適用本文所提出的避險概念。而美國與英國在大部分的時期，股價指數期貨報酬率與實質GDP成長率呈正向關係，因此股市還算具有預測景氣循環的能力，仍適用本文所提出的避險概念。至於法國與瑞士的股價指數期貨報酬率與實質GDP成長率呈負向關係，股市無法作為景氣循環的領先指標，其t-value均不顯著，故不適用本文所提出的避險概念。 / Systematic credit risk is default risk, which is a problem any enterprises and banks may face. When the economy is in the downturn, enterprises or individuals may not afford to pay the principal and interests on time. At this moment, the probability of the occurrence of the credit risk is very high. In contrast, when the economy is in the upturn, enterprises and individuals’ ability of paying back the debt is lifted. Apparently, the probability of the occurrence of the credit risk is low at this moment. Therefore, the so-called systematic credit risk is business cycle risk. This thesis presents a direct and simple concept to hedge the systematic credit risk. Since the business cycle affects the level of systematic risk, our purpose now is to hedge the business cycle risk. Besides, from the previous surveys, the change of stock market is a leading index of business cycle. As a result, we can predict the economy situation in the future by stock index and hedge the business cycle risk by purchasing or selling stock index futures contracts in advance. This thesis do empirical study depended on the data of eight developed or developing countries, inclusive of Taiwan, U.S.A., England, France, Japan, Switzerland, Mexico, and Australia. We choose real GDP growth rate or industry product index as business cycle index, and then run simple OLS, rolling regression, quadratic regression, and simple OLS under downturn to get the hedge ratio and its t-value. The empirical results are as follows: 1、The relationship between the rate of return of stock index futures and real GDP growth rate in Taiwan, Japan, and Australia is positive. In other words, the rate of return of stock index futures can be a predictor of real GDP growth rate and the t-value of the hedge ratio is significant. Therefore, we can hedge the systematic credit risk in these countries by selling stock index futures contracts in advance. 2、In most periods, the relationship between the rate of return of stock index futures and real GDP growth rate in U.S.A. and England is positive. Therefore, the change of stock market still can predict the business cycle and we can apply the hedge concept in this thesis in the two countries. 3、The relationship between the rate of return of stock index futures and real GDP growth rate in France and Switzerland is negative. In other words, the change of stock market can’t early reflect the phenomenon of business cycle and the t-value of the hedge ratio is not significant. As a result, the hedge concept presented in my thsis is not applicable in these countries.

壽險利用國外股價指數期貨來規避國內股票投資組合的特定市場風險，其 可行性為何，則是本研究的重點。本研究目的主要乃基於壽險業在欲達成 某目標報酬率的前提下，為了避免因股票投資組合價值下跌，而須利用股 價指數期貨來規避其溢額風險。首先經由文獻探討來得知壽險業股票投資 組合的特性，並針對台灣與美國、日本、香港股市相關性作實證上研究結 果的比較，然後再將股票指數期貨避險理論與運用做彙整，最後則將過去 有關股價指數期貨實證研究節果做一回顧。本研究結果發現 ：(1)壽險業 在選擇國外股價指數期貨為避險工具時，以香港□生指數期貨為最佳 。(2)避險期間不宜過短， 以四週為宜。 (3)因本研究發現避險期間越 長，則避險比例越高， 且其避險績效亦越高，因此若在考慮交易成本的 情況下，則應以較長的避險期間為佳。 (4)迴模模型大致上皆能符合適合 度與假設檢定，故毋須再作修正。

L’objectif de cette thèse est de répondre à trois questions de recherche, peu explorées dans la littérature. Le but de notre premier essai est d’examiner la relation entre le développement financier islamique et la croissance économique, en utilisant un échantillon de 15 pays sur une période allant de 2000 vers 2009. Les résultats de l’estimation du modèle à effet fixe, variable instrumentale et GMM en différence montrent que le développement financier islamique a un impact positif sur la croissance économique. Les résultats du modèle semi-paramétrique prouvent que l’impact du développement financier islamique sur la croissance économique puisse être non linéaire. Notre deuxième essai s’intéresse à étudier l’effet de la crise des subprimes de 2007-2008 sur les banques islamiques portant sur 70 banques, réparties entre 43 banques classiques et 27 banques islamiques pendant la période 2005-2009. Les résultats prouvent qu’il n’y a pas de différence significative en termes d’effet de la crise sur la solidité des banques islamiques et conventionnelles. Dans notre troisième essai, nous nous s’intéressons à analyser la volatilité des indices boursiers islamiques par rapport à leurs consorts conventionnels. Cinq indices islamiques ont fait l’objet de cette étude ainsi que leurs consorts conventionnels. L’étude couvre la période : 2/02/2009-12/02/2014. Les résultats du test de Granger détectent différentes relations causales. Ainsi, Les résultats du modèle Garch montrent que quatre parmi les cinq indices islamiques sont moins volatiles que leurs consorts conventionnels tandis qu’un seul indice islamique est plus volatile que son consort conventionnel. / This dissertation contains three essays on different issues on mergers and acquisitions, left unexplored or unresolved by the existing literature. The first study examine the relationship between Islamic finance development and economic growth in a panel of 15 MENA and Sout-est-asia countries over the 2000-2009 period, using a variety of econometric methods and four standard measures of Islamic financial development. The study identifies two sets of findings. First, fixed effects estimation, panel-data-instrument variables regressions and GMM-difference estimator reveal that the relationship between Islamic financial development and economic growth is positive. The semiparametric panel model shows that there is evidence of nonlinearity in the data. The second study, assess empirically the effect of the 2007-2008 subprime financial crisis on Islamic banks using a sample of 27 Islamic banks and 43 conventional banks during the period from 2005 to 2009. Using the Z-score as indicator of bank stability the results of our regression analysis show that there is no difference in terms of the effect of the financial crisis on the soundness of Islamic bank and their conventional counterparts. The third study aims to examine the volatility of Islamic stock index compared to their conventional counterparts. Five major Islamic stock indexes have been the subject of our third study as well as their conventional counterparts. Covering a time period from 12/02/2009 to 12/02/2014. The application of Granger causality tests detected different causalities during the period, between the returns series under study. Employing Generalized Autoregressive Conditional Heteroskedastic (GARCH), our results indicate that, four among five Islamic stock indexes were less volatile than their conventional counterparts. But, one Islamic index are more volatile than their conventional counterpart.

When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the index portfolio and take short (long) positions in the corresponding index derivative contracts until prices return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for the market to absorb, resulting in price changes. Utilizing a list of S&P 500 index composition changes occurring over the period September 1976 to December 2005, I investigated the market-adjusted volume turnover ratios and return variances of the stocks being added to and deleted from the S&P 500, surrounding the effective day of index membership changes. My primary finding is that, after the introduction of the S&P 500 index futures and options contracts, stocks added to the S&P 500 experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant change in either trading volume or return volatility. Both daily and monthly return variances increase following index inclusion, consistent with the hypothesis that derivative transactions "fundamentally" destabilize the underlying securities. I argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as derivative markets provide more routes for index arbitrageurs to trade. Other index trading strategies such as portfolio insurance and program trading may also contribute to the results. On the other hand, a deleted stock is not associated with changes in trading volume and volatility since it represents an extremely small fraction of the market value-weighted index portfolio, and the influence of index trading strategies becomes slight for these shares. Furthermore, evidence is provided that trading volume and return volatility are positively related.

Magisteruppsats, civilekonomprogrammet Titel: Valutafluktuationer på den svenska aktiemarknaden Bakgrund: Aktiemarknaden och växelkurserna är två avgörande komponenter i världsekonomin. Aktiemarknaden kan påverkas av förändringar i valutakurser, vilket gör det viktigt att förstå hur den fungerar, för att sedan kunna göra smarta investeringsval. I denna studie, kommer vi under en tidsperiod mellan 2012-2021, undersöka hur valutakurserna, SEK/EUR, SEK/USD och KIX-index påverkar OMXS30. Syfte: Syftet med denna uppsats är att utforska sambandet mellan förändringar i den svenska växelkursen och den svenska aktiemarknaden. Metod: Denna studie har byggts på en kvantitativ metod med en deduktiv ansats, för att pröva dess syfte. Data har hämtats från Thomas Reuters Eikon Datastream och hypoteserna är framtagna för att finna lösningen på vår problemformulering. Slutsats: Denna studie visar att det finns ett samband mellan förändring i växelkurserna gemensamt och den svenska aktiemarknaden men det finns inte en specifik växelkurs som i sig självt har en signifikant påverkan på den svenska aktiemarknaden i helhet. / Master Thesis in Business Administration Title: Currency fluctuations on the swedish stock market Background: The stock market and exchange rates are two crucial components of the world economy. The stock market can be affected by changes in exchange rates, which makes it important to understand how it works, in order to then make smart investment choices. In this study, during a period of time between 2012-2021, we will examine how the exchange rates, SEK/EUR, SEK/USD and the KIX index affects OMXS30. Purpose: The purpose of this essay is to explore the connection between changes in the Swedish exchange rate and the Swedish stock market. Method: This study has been based on a quantitative method with a deductive approach, in order to test its purpose. The data has been taken from the Thomas Reuters Eikon Datastream and the hypotheses have been developed to be able to find the solution to our problem. Conclusion: This study shows that there is a significant similarity between changes in exchange rates in general and the Swedish stock market, but there is not a specific exchange rate that in itself has a significant impact on the Swedish stock market as a whole

El siguiente proyecto de tesis pretende mostrar y verificar cómo las redes neuronales, en concreto, la red backpropagation son una alternativa para la predicción de la volatilidad condicional frente a los modelos econométricos clásicos de la familia GARCH. El estudio se realiza para diferentes índices bursátilies de diferentes tamaños y zonas geográficas, así como para datos tanto diarios como de alta frecuencia utilizando para la comparativa uno de los modelos más extendidos para el estudio de la volatildiad condicional en índices bursátiles como el EGARCH, dada la existencia comprobada de asimetrías en la volatildiad de dichos índices. La elección de la red neuronal backpropagation viene motivada por ser una de las redes neuronales más extendidas en su uso en finanzas por su capacidad de generalización método de aprendizaje basada en la relga delta generalizada. / Oliver Muncharaz, J. (2014). MODELIZACIÓN DE LA VOLATILIDAD CONDICIONAL EN ÍNDICES BURSÁTILES : COMPARATIVA MODELO EGARCH VERSUS RED NEURONAL BACKPROPAGATION [Tesis doctoral]. Editorial Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/35803